When humans move, we don't normally think about it - we just walk or talk and concentrate on what we are doing rather than how to do it (like we don't think 'retract bicep' or 'extend knee 40 degrees'). Does Data need to think consciously about this (like 'extend knee 40 degrees'), or does he have multiple levels of intelligence where he can essentially order the lower level to execute the 'walking' routine and the lower level of 'consciousness' worries about that? Essentially I'm asking if Data has multiple levels of consciousness to differentiate physical and mental events, like the different faculties of the brain that we humans have? (canon answers ONLY - no speculation please!)
Like most computers, Data clearly has multiple levels of perception and is able to assign priority accordingly. We know that his "ethical subroutines" will sometimes override his behaviour and when speaking to his girlfriend Jenna Soren he indicates that he has a lot on his mind at any one time;
JENNA What were you just thinking?
DATA: At that particular moment, I was reconfiguring the warp field parameters, analyzing the collected works of Charles Dickens, calculating the maximum pressure I could safely apply to your lips, considering a new food supplement for Spot.
On the flipside, it seems that certain low-priority events like blinking and breathing are governed by an automatic response;
Data : The intervals between blinks were governed by a Fourier Series - the same mathematical formula my father used to give my blinking pattern the appearance of randomness.
Additionally, he appears to have a "subconscious" layer of understanding, as demonstrated in "Fistful of Datas" and "Cause and Effect".
In answer to your specific question, my guess would be that walking (given the potential for harm to self and others) would definitely be one of the things that Data thinks about consciously rather than allowing it to be controlled by an automated process.
I don't have explicit sources to hand - but it is alluded to in several episodes that Data has sub-processors which deal with autonomic function - and it will be one of these that manages the mechanism of walking.
His main CPU - the equivalent to a human brain - will direct his desire to move from A to B but, much like humans, he won't expressly control each mechanical motion at his higher consciousness level.
It is likely that Data has a very human system of controlling his limbs: when he wants to walk from one side of the room to the other, he simply sends a command to his legs to propel him in that direction, at a safe speed. If, however, he was required to make precise movements (e.g., kicking a ball, or walking on a slippery surface), he would switch the controllers into a more direct control mode. That is, Data has the possibility to "think" about every movement he makes, but for the sake of efficiency, his subsystems control his motion most of the time.
Also, Data has been shown to practice music, martial arts, and various other tasks; while some of that practice is to use his senses to optimize his movements, I think he also has the ability to record various movements and store them for later use in his sub-processors.